If you do not disengage the clasp nuts and reverse the drive, the thread will always pick up. This applies to both changewheels and gearboxes, it is really the only practical way to do it if you are cutting metric threads on an Imperial machine or vice versa. My only objection to doing it this way (for Imperial threads) is that it's slow and tedious but I suppose it depends on how much threading you have to do. If you disengage the clasp nuts, you will need the TDI to re-engage at the correct position, with or without gearbox. I have only had a quick look at Gray's device, looks good but again, depends on how much threading you need to do. Wear, starting and stopping the motor twice for each cut probably wouldn't do it a lot of good (applies to a single phase motor) but if you have an inverter system, this wouldn't be important. By not disengaging the clasp nuts, the leadscrew and nuts get exactly twice as much wear.
A little tip, check that the sliding selector lever lines up well with the label on top of the gearbox. Mine doesn't, I once cut a beautiful 11 TPI thread, trouble was I needed 10 TPI. Yes, I know, I should have checked.
Dave